Your MKV files need to be re-muxed into something that Vegas will import. You could use Handbrake, but that will result in a re-render and some quality loss. Plus it will take a relatively long time. Try TSmuxer (freeware) which will produce a .ts or .m2ts which Vegas should read without issue. You could also re-mux to MP4. All this assumes that the actual codec inside the container is h264 (AVC). Re-muxing will also be very quick since it mostly involves "copying".